We carry out a modulation instability (MI) analysis in nonlinear complex parity-time (PT) symmetric periodic structures. All the three regimes defined by the PT-symmetry breaking point or threshold, namely, below threshold, at threshold and above threshold are discussed. It is found that MI exists even beyond the PT-symmetry threshold indicating the possible existence of solitons or solitary waves, in conformity with some recent reports. We find that MI does not exist at the PT-symmetry breaking point in the case of normal dispersion below a certain nonlinear threshold. However, in the case of anomalous dispersion regime, MI does exist even at the PT-symmetry breaking point.